Updating Wilkie's Economic Scenario Generator for U.S. Applications

Saisai Zhang, M. Hardy, D. Saunders
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引用次数: 1

Abstract

The Wilkie economic scenario generator has had a significant influence on economic scenario generators since the first formal publication in 1986 by Wilkie. In this article we update the model parameters using U.S. data to 2014, and review the model performance. In particular, we consider stationarity assumptions, parameter stability, and structural breaks.
为美国应用更新威尔基的经济情景生成器
自1986年Wilkie首次正式出版以来,Wilkie经济情景生成器对经济情景生成器产生了重大影响。在本文中,我们使用2014年的美国数据更新了模型参数,并审查了模型的性能。特别地,我们考虑平稳性假设、参数稳定性和结构断裂。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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